- Had to apply for the Acting School of Odense Theater 13 times before getting accepted.
- Once during an air flight, a young passenger mistook her for her alien-character in The Substitute (2007). The young passenger's reaction was so intense that many of the passengers thought that an accident had happened. After the passenger had calmed down, Steen kindly explained to her that she wasn't an alien.
- First actress to win both Best Leading Actress (for Okay (2002)) and Best Supporting Actress (for Open Hearts (2002)) at the Bodil awards since Karin Nellemose won both awards in 1949.
- Appears in the first three Dogme films. The only member of cast or crew to do so.
- Sister of musician Nikolaj Steen.
- Daughter of actress Avi Sagild and band leader Niels Jørgen Steen.
- Mother of actor Otto Leonardo Steen Rieks, with producer Mikael Chr. Rieks.
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